Nonparametric Risk Management and Implied Risk Aversion

By Yacine Aït-Sahalia, Andrew W. Lo. 2000

800 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8d703d9629e5467ed54a71e9e756d0009c62178f

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Citations in the corpus

Nonparametric state price density estimation using constrained least squares and the bootstrap (2006, neutral): “Among them are Aït-Sahalia (1996), Jackwerth and Rubinstein (1996), Ghysels et al. (1997), Aït-Sahalia and Lo (1998, 2000), Aït-Sahalia and Duarte (2000) , Broadie et al (2000a,b), Garcia and Gencay (2000), Aït-Sahalia, Bickel and Stoker (2001), Cont (2001), Cont and Fonseca (2002), Cont and Tankov…”
Investor Sentiment and Option Prices (2008, neutral): “Since the empirical density of monthly index return is approximately symmetric (Ait-Sahalia and Lo, 1998, 2000; Rosenberg and Engle, 2002), the risk-neutral skewness is determined by the slope of the pricing kernel, or the ratio of the value of the pricing kernel at low-index levels to that at…”
Behavioral Finance: Quo Vadis? (2015, positive): “However, Aït-Sahalia and Lo (2000) and Rosenberg and Engle (2002) find that, during the first half of the 1990s, the SDF features an oscillating shape that supports the predictions based on behavioral assumptions. Moreover, using survey expectations data, Shefrin (2005, 2008) predicted that the shap”
Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash (2011, neutral): “Consistent with Pan’s finding, Jackwerth (2000) shows that the risk aversion function implied by S&P 500 index options and returns in the post-1987 crash period is partially negative and increasing in wealth; similar results are presented in Aı̈t-Sahalia and Lo (2000) and Rosenberg and Engle (2002).”
Hedging with options in models with jumps (2007, neutral): “framework”
State Dependence Can Explain the Risk Aversion Puzzle (2008, methodology): “Aït-Sahalia and Lo (2000) find that the nonparametrically implied function of relative risk aversion varies significantly across the range of S&P 500 Index values, from 1 to 60, and is U-shaped.”
Arbitrage-free estimation of the risk-neutral density from the implied volatility smile (2002, methodology): “For an in-depth discussion of RND estimation methods see Bahra (1997), Cont (1997) and Jackwerth (1999).”
Mispricing of S&P 500 Index Options (2006, background): “Ait-Sahalia and Lo (2000), Jackwerth (2000), and Rosenberg and Engle (2002) estimated the pricing kernel implied by the observed cross section of prices of S&P 500 index options as a function of wealth, where wealth is proxied by the S&P 500 index level.”
GARCH option pricing: A semiparametric approach (2008, methodology): “The goal of the second part of this experiment is to construct consistent estimators for Cess 0(2)(θ0) and C egp 0(2)(θ0) obtained above, using the methodology presented in Section 3.”
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables (2003, background): “In a non-parametric framework, AIJt-Sahalia and Lo (2000) and Jackwerth (2000) uncover the risk-aversion function implied by the comparison between the objective and the risk-neutral distributions, while Rosenberg and Engle (1999) investigate the empirical characteristics of investor risk aversion b”